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Chodnicka-Jaworska Patrycja (University of Warsaw, Poland)
Banks' Credit Ratings Inflation
Inflacja ratingów kredytowych banków
Olsztyn Economic Journal, 2017, nr 12 (1), s. 99-114, tab., bibliogr. s. 112-114
Słowa kluczowe
Rating, Banki, Inflacja, Wskaźniki finansowe, Model probitowy
Rating, Banks, Inflation, Financial indicators, Probit model
streszcz., summ.
Celem pracy była weryfikacja występowania zjawiska inflacji ratingów kredytowych. Przygotowano przegląd literatury. Postawiono następujące hipotezy: "istnieje inflacja ratingów kredytowych banków"; "obserwuje się różnice między wpływem poszczególnych wskaźników finansowych na ratingi kredytowe banków, które są nadawane przez jedną lub więcej agencji ratingowych temu samemu podmiotowi". Do weryfikacji hipotez zastosowano probitowe modele panelowe. Dane zebrano z bazy Thomson Reuters. Zmienną zależną wykorzystaną do badania były długoterminowe ratingi kredytowe emitenta proponowane przez S&P, Fitch i Moody. Jako zmienne niezależne zastosowano wskaźniki finansowe poszczególnych banków i zmienne makroekonomiczne wpływające na sytuację i stabilność finansową banku. Porównanie not ratingowych nadawanych przez agencje sugeruje, że ratingi są podobne. Te same wnioski otrzymano po porównaniu ratingów dwóch agencji. Różnice występują tylko w przypadku not nadawanych przez jedną agencję. Jeżeli agencja jest większa, proponowane noty są wyższe. Lista zmiennych wykorzystywanych przez poszczególne agencje zależy od tego, czy noty są proponowane przez jeden podmiot czy kilka podmiotów. Siła wpływu opisanych czynników jest zróżnicowana. (abstrakt oryginalny)

The aim of the paper is to verify the significance of the credit ratings' inflation phenomenon of banks' notes. First, a literature review was prepared. The following hypotheses were then put: Banks' credit rating inflation has been observed. There are differences between the impact of the financial factors on banks' credit ratings between notes that are given by one or more credit rating agencies to the same entity. The analysis was prepared by using probit panel data models. Data has been collected from the Thomson Reuters database. Long term issuer credit ratings proposed by S&P, Fitch and Moody were used as a dependent variable. As independent factors the financial indicators and macroeconomic variables were measured. The comparison of notes given by credit rating agencies suggests that notes that are given by all CRAs are similar. The same results were received when the notes given by two agencies were compared. Differences are observed only in the case of ratings given by one institution. If a CRA is bigger, notes proposed by them are higher. A list of variables that are taken by a particular credit rating agency can be created regardless of whether the evaluation is one or more CRAs. The strength of impact of the described factors is differentiated. (original abstract)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
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